Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0198
Annualized Std Dev 0.2111
Annualized Sharpe (Rf=0%) -0.0940

Row

Daily Return Statistics

Close
Observations 3517.0000
NAs 1.0000
Minimum -0.1696
Quartile 1 -0.0018
Median 0.0005
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0023
Maximum 0.1922
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0133
Skewness -0.2124
Kurtosis 52.8725

Downside Risk

Close
Semi Deviation 0.0097
Gain Deviation 0.0112
Loss Deviation 0.0136
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.7019
Historical VaR (95%) -0.0108
Historical ES (95%) -0.0314
Modified VaR (95%) -0.0085
Modified ES (95%) -0.0085
From Trough To Depth Length To Trough Recovery
2007-05-15 2009-03-06 NA -0.7019 3488 457 NA
2007-04-11 2007-05-01 2007-05-14 -0.0073 24 15 9
2007-04-04 2007-04-04 2007-04-10 -0.0028 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -0.6 -0.9 0.2 -1.4 0.8 -0.1 -2.3 1.8 -7.8 -10
2008 0.6 -1 1.3 -0.5 0.5 -3.1 -0.9 0.9 1.4 0.3 -4.3 2 -2.8
2009 -1.3 -6.7 0.6 -1.2 0.9 0.2 1.6 -3.1 -1.6 -0.2 -0.4 -0.2 -11.1
2010 0.4 -0.1 -0.3 -0.3 -0.7 -0.5 0.3 -0.4 -0.5 -0.4 -0.3 0.4 -2.5
2011 -0.3 -0.9 -0.2 0.3 -0.8 -0.5 0.1 -0.5 -1.2 -2.1 -0.8 0.4 -6.3
2012 -0.1 -0.3 0.2 -0.3 -1.2 0.1 -0.8 0.1 -0.3 -0.2 0 0.3 -2.4
2013 -0.3 -0.1 -0.5 -0.5 -0.9 -0.4 -1.1 0.2 -0.8 -0.3 0.2 -0.1 -4.6
2014 -0.2 0.3 -0.1 -0.4 0 -0.3 -0.7 0 -0.7 0.1 -1 0.1 -2.9
2015 -0.1 0.2 -0.4 -0.7 -0.5 0.1 0.2 -0.8 -0.6 0.2 -0.2 -0.1 -2.6
2016 -0.1 -0.2 -1.1 0.2 -0.3 -0.2 0 -0.6 0.4 -0.6 -1.1 0.2 -3.5
2017 -0.5 -0.8 0.1 0.2 -0.4 0.3 -0.1 -0.6 0 -0.5 -0.3 0 -2.7
2018 -1 -0.6 0.2 -0.4 -0.2 0.2 -0.6 0.3 -1.2 -0.3 -0.2 1 -2.9
2019 -0.9 0.2 0.1 0.2 -0.3 0.1 -0.4 0.1 -0.6 -0.5 -0.3 0.4 -1.8
2020 -0.2 -1 -5.5 -2 -0.4 -0.3 0.3 -0.5 0.2 0 -0.2 0.4 -8.8
2021 0.2 0 0.6 NA NA NA NA NA NA NA NA NA 0.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart